Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0034 |
| Annualized Std Dev | 0.1324 |
| Annualized Sharpe (Rf=0%) | 0.0257 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3706.0000 |
| NAs | 1.0000 |
| Minimum | -0.0708 |
| Quartile 1 | -0.0041 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0044 |
| Maximum | 0.0775 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0083 |
| Skewness | -0.2773 |
| Kurtosis | 9.0023 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0061 |
| Gain Deviation | 0.0056 |
| Loss Deviation | 0.0064 |
| Downside Deviation (MAR=210%) | 0.0114 |
| Downside Deviation (Rf=0%) | 0.0060 |
| Downside Deviation (0%) | 0.0060 |
| Maximum Drawdown | 0.4790 |
| Historical VaR (95%) | -0.0129 |
| Historical ES (95%) | -0.0199 |
| Modified VaR (95%) | -0.0128 |
| Modified ES (95%) | -0.0225 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-07-28 | 2020-03-19 | NA | -0.4790 | 2428 | 2175 | NA |
| 2008-07-16 | 2008-10-27 | 2010-10-08 | -0.3825 | 564 | 73 | 491 |
| 2007-07-26 | 2007-08-16 | 2007-09-28 | -0.1078 | 46 | 16 | 30 |
| 2007-11-01 | 2007-12-17 | 2008-02-26 | -0.0791 | 79 | 32 | 47 |
| 2008-02-29 | 2008-03-20 | 2008-05-16 | -0.0569 | 55 | 15 | 40 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 0.8 | -0.4 | 0 | -0.4 | -0.3 | -0.4 | -0.1 | -0.8 |
| 2007 | -0.7 | -0.8 | 0.3 | -0.6 | 0.1 | 0.4 | -0.4 | 0.4 | 0.4 | -1.8 | 0.1 | 0 | -2.6 |
| 2008 | 0.4 | -1.8 | -1.4 | -1.4 | 0 | -1.1 | -1.8 | -0.3 | -0.6 | -2.3 | -2.8 | 2.8 | -10.1 |
| 2009 | -2.5 | -1.5 | 0.3 | 0.2 | 1.1 | 0 | 1.4 | -2.4 | -1.8 | -1.7 | 0.8 | 0.6 | -5.4 |
| 2010 | 0.5 | 0.3 | 0.1 | -0.2 | -1.9 | 0 | 0.5 | 1.8 | 0.4 | 0.3 | 0.7 | 0.6 | 3 |
| 2011 | 1.2 | -0.8 | 0.1 | 0.3 | -0.9 | 0.2 | -0.5 | 0.1 | -1.1 | -2.3 | -0.9 | 0.9 | -3.8 |
| 2012 | 0.5 | 0.4 | -0.2 | -1.1 | -0.9 | 1.8 | -0.7 | 0.3 | -0.3 | 0 | 0 | 0.3 | 0 |
| 2013 | -0.4 | -0.3 | -0.1 | -1.1 | -0.9 | 0.8 | -1 | -0.4 | 0.7 | -0.3 | 0.3 | 0.3 | -2.5 |
| 2014 | -0.4 | -0.4 | -0.4 | -0.4 | 0 | 0.6 | 0 | -0.2 | -0.4 | -0.3 | -0.3 | -0.3 | -2.4 |
| 2015 | 0.2 | 0.3 | -0.4 | -1.1 | -0.7 | -0.9 | 0.2 | -1.4 | 0.1 | 0.9 | 1.2 | 0 | -1.5 |
| 2016 | 0.3 | 0.5 | 0.1 | -0.3 | 0.3 | 0.4 | -1 | 0.4 | 0.2 | 0.5 | 0.4 | 0 | 1.9 |
| 2017 | 0 | 0.2 | -0.2 | 0.5 | -0.8 | 0 | -0.5 | 0.2 | -0.1 | 0.2 | 0.5 | 0.1 | 0.1 |
| 2018 | -0.2 | -0.1 | 0.3 | -0.7 | 0 | 0.7 | -0.5 | -1 | -0.1 | 1.8 | -0.3 | 0.1 | 0.1 |
| 2019 | -0.3 | -0.3 | 0.2 | -0.6 | 0.3 | -0.9 | -0.6 | 0.2 | -0.7 | 0.3 | -0.2 | 0.3 | -2.3 |
| 2020 | -0.4 | -0.9 | -1 | -1.5 | 2 | 0.3 | -0.5 | 0 | 0.5 | -0.1 | 0.4 | 0.4 | -0.9 |
| 2021 | -0.3 | 1 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
